交易成本拆分与投资者对投资研究的依赖:来自实验性资产市场的证据

IF 3.6 2区 管理学 Q1 BUSINESS, FINANCE Accounting Organizations and Society Pub Date : 2024-02-03 DOI:10.1016/j.aos.2024.101542
Sebastian Stirnkorb
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引用次数: 0

摘要

经纪自营商向客户收取投资研究费用的传统方式是收取综合费用,将研究费用与其他可变费用(如交易执行费用)捆绑在一起。由于欧洲的监管变化,美国的经纪自营商暂时允许部分客户为提供投资研究支付明确的费用。借鉴沉没成本文献,我研究了交易成本分拆如何影响投资者对投资研究的依赖。来自 16 个实验市场的结果表明,与捆绑式支付相比,在非捆绑式支付体系下,投资者更看重成本高昂的预测,但前提是交易成本足够高,这与沉没成本谬误的动态变化是一致的。我发现有边际证据表明,对预测的进一步关注进一步抑制了投资者的学习,这反映在价格误差随着时间的推移减少得更慢。这些结果非常重要,因为全球投资者正越来越多地为投资研究支付明确的费用,美国证券交易委员会最近的一项政策变化强化了这一趋势。
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Transaction cost unbundling and investors’ reliance on investment research: Evidence from experimental asset markets

Broker-dealers traditionally charge their clients for the provision of investment research with a composite fee that bundles payments for research with other variable fees, such as those for trade executions. Due to regulatory changes in Europe, US broker-dealers temporarily allowed some of their clients to pay an explicit fee for the provision of investment research. Drawing on the sunk cost literature, I examine how transaction cost unbundling influences investors’ reliance on investment research. Results from 16 experimental markets indicate that investors place greater weight on costly forecasts under a system of unbundled payments compared to bundled payments, but only if transaction costs are sufficiently high, which is consistent with the dynamics of a sunk cost fallacy. I find marginal evidence that the enhanced focus on the forecast further inhibits investors' learning, as reflected in a slower reduction of price errors over time. These results are important since investors worldwide are increasingly paying explicit charges for investment research, a trend reinforced by a recent SEC policy change.

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来源期刊
CiteScore
7.80
自引率
6.40%
发文量
38
期刊介绍: Accounting, Organizations & Society is a major international journal concerned with all aspects of the relationship between accounting and human behaviour, organizational structures and processes, and the changing social and political environment of the enterprise.
期刊最新文献
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